Supporting the Swiss market transition to a new risk-free rate
Regulatory pressure, along with ongoing issues regarding LIBOR, has created the need for alternative risk free reference rates (RFRs). In Switzerland the National Working Group (NWG) has proposed SARON® as an alternative interest rate benchmark. To help the market with an orderly transition to the new benchmark, Eurex has launched a Three-Month SARON® Futures contract, the first exchange-traded SARON® Futures globally, in October 2018.
In Switzerland both LIBOR and the TOIS-fixing stopped being the most reliable way to determine the cost of debt securities. In 2017 the NWG proposed SARON® as an alternative interest rate benchmark. At the end of 2017 the Swiss market replaced the TOIS fixing with SARON®. Eurex Clearing AG stopped clearing TOIS Indexed Swaps at the end of 2017 and at the same time switched to a SARON® swap discounting curve for CHF swap transactions. ECAG offers clearing for SARON® swaps since 2017.
SARON® is the new Risk Free interest rate for the discount of CHF OTC Interest Rate Swaps. It is a collateralized reference rate based on actual market transactions and quotes in the regulated SIX Repo market. Calculated transparently in accordance with the IOSCO Principles for financial benchmarks, SARON® is compliant with international benchmark standards.
Eurex Global Derivatives AG
T +41-43-430-71 23
Eurex Frankfurt AG
Global Product Research and Development
T +49-69-211-1 49 88
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